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2006 Fiscal Year Final Research Report Summary

Statistical Inference for Duration Model using High-Frequency Financial Time Series

Research Project

Project/Area Number 17530165
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeSingle-year Grants
Section一般
Research Field Economic statistics
Research InstitutionYokohama National University

Principal Investigator

NAGAI Keiji  Yokohama National Univ., International Graduate School of Social Sciences, Associate Professor, 大学院・国際社会科学研究科, 助教授 (50311866)

Project Period (FY) 2005 – 2006
KeywordsFinancial Econometrics / High-frequency data / Volatility / Nonsyncronous Observation / Unit Root Test / Nonparametrics / Sequential test / Renewal theory
Research Abstract

For the analysis using high-frequency financial time series, a joint research "Nonparametric Estimation of Multivariate Integrated Volatilities" with Prof. Yosihiko Nishiyama of Institute of Economic Research, Kyoto University is about the estimate manner of volatility of multi-dimensional diffusion process observed nonsynchronously, in which we consider the Malliavin-Mancino estimator and the Hayashi-Yoshida estimator from views of theory and simulation. We conclude that the Hayashi-Yoshida estimator is superior. We also estimated the covariance using government bond futures tick data as empirical study.
In the joint research "Nonparametric Estimation for the High Frequency Observations of Multivariate Ito Processes" with Song Mingzi, we provide a nonparametric estimator of multivariate volatility of Ito processes which exploits the estimator of the local time of semimartingale.
In "Nonlinear renewal theorems for random walks with perturbations of intermediate order," (with Cun-Hui Zhang), we prove a nonlinear renewal theorem for a random walk having perturbation terms, which is becoming important in a theory of statistical sequential analysis. We apply it to the nonparametric sequential probability ratio test.
We also suggest new method of performing a unit root test by manner of a sequential test in the paper reported in the invited session of the meeting of Japanese Statistical Association in 2007.

  • Research Products

    (8 results)

All 2007 2006 2005

All Journal Article (8 results)

  • [Journal Article] Nonparametric methods of estimating integrated multivariate volatilities2007

    • Author(s)
      T.Hoshikawa, T.Kanatani, K.Nagai, Y.Nishiyama
    • Journal Title

      Realized Volatility and Long Memory, special double issue of Econometric Reviews (Taylor and Francis) (Forthcoming)

    • Description
      「研究成果報告書概要(和文)」より
  • [Journal Article] Nonparametric methods of estimating integrated multivariate volatilities2007

    • Author(s)
      T Hoshikawa, T Kanatani, K Nagai, Y Nishiyama
    • Journal Title

      Realized Volatility and Long Memory, special double issue of Econometric Reviews (Taylor and Francis) (forthcoming)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Journal Article] Nonlinear renewal theorems for random walks with perturbations of intermediate order2006

    • Author(s)
      Keiji Nagai, Cun-Hui Zhang
    • Journal Title

      IMS Lecture Notes-Monograph Series Recent Developments in Nonparametric Inference and Probability 50

      Pages: 164-175

    • Description
      「研究成果報告書概要(和文)」より
  • [Journal Article] Nonlinear renewal theorems for random walks with perturbations of intermediate order2006

    • Author(s)
      Keiji Nagai, Cun-Hui Zhang
    • Journal Title

      IMS Lecture Notes-Monograph Series Recent Developments in Nonparametric Inference and Probability Vol 50

      Pages: 164-175

    • Description
      「研究成果報告書概要(欧文)」より
  • [Journal Article] 「研究成果報告書概要(和文)」より2005

    • Journal Title

      統計関連学会 連合大会 報告集

      Pages: 103

  • [Journal Article] Parameter estimation of diffusion processes via GARCH MLE2005

    • Author(s)
      永井圭二, 宋明子
    • Journal Title

      統計関連学会 連合大会 報告集

      Pages: 108

    • Description
      「研究成果報告書概要(和文)」より
  • [Journal Article] Sequential estimation of autoregressive parameter with ARCH errors2005

    • Author(s)
      Keiji Nagai, Yosuke Takahashi
    • Journal Title

      Proceedings of Japan Statistical Society

      Pages: 103

    • Description
      「研究成果報告書概要(欧文)」より
  • [Journal Article] Parameter estimation of diffusion processes via GARCH MLE2005

    • Author(s)
      Song Mingzi
    • Journal Title

      Proceedings of Japan Statistical Society.

      Pages: 108

    • Description
      「研究成果報告書概要(欧文)」より

URL: 

Published: 2008-05-27  

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